vcVaR Function

Estimation value at risk by using Variance-Covariance Method.

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This function estimates the value at risk of portfolio composed of two stock prices and sketch related figures at two given confidence of levels.

Cite As

Ali Najjar (2026). vcVaR Function (https://uk.mathworks.com/matlabcentral/fileexchange/32313-vcvar-function), MATLAB Central File Exchange. Retrieved .

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General Information

MATLAB Release Compatibility

  • Compatible with any release

Platform Compatibility

  • Windows
  • macOS
  • Linux
Version Published Release Notes Action
1.1.0.0

This update contains example of vcVaR()Arguments, P1, P2.
Just move P1 and P2 into Workspace and for example Run following command:
[VaR violation RP]=vcVaR(P1,P2,1000,0.5,[.95;.99])

1.0.0.0